Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.1821
Annualized Std Dev 0.2196
Annualized Sharpe (Rf=0%) -0.8293

Row

Daily Return Statistics

Close
Observations 3711.0000
NAs 1.0000
Minimum -0.1183
Quartile 1 -0.0073
Median -0.0013
Arithmetic Mean -0.0007
Geometric Mean -0.0008
Quartile 3 0.0048
Maximum 0.1141
SE Mean 0.0002
LCL Mean (0.95) -0.0011
UCL Mean (0.95) -0.0003
Variance 0.0002
Stdev 0.0138
Skewness 0.1356
Kurtosis 7.9876

Downside Risk

Close
Semi Deviation 0.0095
Gain Deviation 0.0110
Loss Deviation 0.0097
Downside Deviation (MAR=210%) 0.0151
Downside Deviation (Rf=0%) 0.0098
Downside Deviation (0%) 0.0098
Maximum Drawdown 0.9641
Historical VaR (95%) -0.0199
Historical ES (95%) -0.0320
Modified VaR (95%) -0.0207
Modified ES (95%) -0.0263
From Trough To Depth Length To Trough Recovery
2008-11-21 2021-02-12 NA -0.9641 3102 3077 NA
2006-07-24 2007-10-31 2008-10-07 -0.3307 557 322 235
2008-10-28 2008-11-04 2008-11-19 -0.1658 17 6 11
2008-10-13 2008-10-13 2008-10-15 -0.1183 3 1 2
2008-10-16 2008-10-20 2008-10-24 -0.0847 7 3 4

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA -0.5 1.8 -0.6 0.3 1.3 1 0.1 3.5
2007 0.4 0.7 0.2 -0.2 -0.1 -0.5 -0.9 -1.2 -0.8 1.7 0.7 1.7 1.8
2008 -0.8 1.5 -3.1 -3.1 -0.9 -1.3 1.1 1.9 1.9 -0.2 7.6 -1.2 2.9
2009 2 1 -1.3 -0.1 -3 -0.1 0.4 2 3.1 2.5 -1.1 0.9 6
2010 -1 -1.6 0 2 1 0.5 -0.2 -2.9 0.1 -0.1 -2.1 0.3 -4
2011 -1.8 1.6 0 0.2 2.1 -1.6 0.4 1 2.6 2.5 -0.7 0.3 6.6
2012 -0.8 -0.8 0.2 -0.2 2.6 -3.1 0.3 -0.7 0.1 -1.4 0.1 -2 -5.6
2013 -1.2 -0.3 0.7 0.5 0.9 -0.7 -1 0.6 -1.1 0.1 -0.6 -0.5 -2.7
2014 0.3 0 -1.8 -0.3 -0.1 -1.3 0.5 -0.4 1.5 -1.3 1.2 1 -0.7
2015 0.7 0.5 0.6 -1.3 -0.3 -0.7 0.1 3 -0.5 0.4 -1 1.2 2.7
2016 -0.3 -3.2 -1 0.6 0.1 -0.4 -0.5 -0.3 -0.7 0.8 1.6 1 -2.6
2017 -0.6 -1.1 0.1 -0.8 -0.5 0.1 -0.2 0.1 -0.7 0 0.4 0.7 -2.5
2018 0.9 1.7 -1.8 -1.1 -1.6 -0.1 -0.5 -0.2 -0.2 -1.4 -0.8 -0.9 -5.9
2019 0.5 -0.8 -1.3 0.4 1.7 -1.3 0.5 0.2 0.8 -0.9 0.4 -0.2 0.1
2020 1.6 -0.3 4.1 3 -0.6 -1.2 -1.7 -1.5 -1.6 2.5 -1.4 -0.3 2.4
2021 -2.5 -2.7 -0.4 NA NA NA NA NA NA NA NA NA -5.6

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart